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commit ef8aab9646b563af26d6492ac2fbc98850a0683d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.27 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 081d9927ffbe4956668178755e7641e2970f62a9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 15 Jul 2022 12:09:29 +0200
Add missing header
ql/math/integrals/gausslobattointegral.cpp | 1 +
ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp | 1 +
2 files changed, 2 insertions(+)
commit 33509640e6d5082ce39229f2e6f535993df6b6ef
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.27 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 238a8535f50a9c1de6e34d5ead6fa8ea4df5d428
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 13 Jul 2022 16:39:07 +0200
Update news and changelog
ChangeLog.txt | 3311 ++++++++++++++++++++++++++++++++++--------------------
Contributors.txt | 3 +
News.md | 136 ++-
3 files changed, 2188 insertions(+), 1262 deletions(-)
commit 438d933bc21627e0863d28b32be2fe4476749a40
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 10 Jul 2022 03:56:56 +0000
Automated fixes by clang-tidy
ql/math/statistics/riskstatistics.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 9325cfc482b794f277a1aa96f2e1a7cf25cab260
Merge: 554c5be57 6edb41378
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Jul 2022 11:41:21 +0200
Merge pull request #1421.
AAD-ready QuantLib
commit 6edb4137842de57ed98fac77927ad721f893f8be
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Tue, 5 Jul 2022 16:05:25 +0000
Fixing QL_INCLUDE_FIRST functionality (typo fix)
ql/qldefines.hpp | 2 +-
ql/qldefines.hpp.cfg | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 3adaef9d472d5a5415c7e757ce19908a904c49f6
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Tue, 5 Jul 2022 15:45:54 +0000
Reverting comment text in qldefines as well
ql/qldefines.hpp | 3 +--
ql/qldefines.hpp.cfg | 3 +--
2 files changed, 2 insertions(+), 4 deletions(-)
commit 7a455893ba29225ba8a3c3f95e4c25f1613a611a
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Tue, 5 Jul 2022 15:43:53 +0000
Replacing POW with std::pow
.../perturbativebarrieroptionengine.cpp | 268 ++++++++++-----------
1 file changed, 132 insertions(+), 136 deletions(-)
commit d64b6781cef4f4d46b116f9caded0a9cd5d85ba6
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Tue, 5 Jul 2022 14:22:22 +0000
Reverting qldefines change as QL_INCLUDE_FIRST can be used
ql/qldefines.hpp | 32 ++++++++++++++++----------------
ql/qldefines.hpp.cfg | 33 ++++++++++++++++-----------------
2 files changed, 32 insertions(+), 33 deletions(-)
commit 554c5be574d1fdc7776f9bc860beb4ffe3e9ddbb
Merge: 59b009cf6 d22d8440c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Jul 2022 11:27:29 +0200
Merge pull request #1420.
Add spot delta and gamma for Turnbull-Wakeman engine
commit 59b009cf6b732ecfe6a1f9f460ccd29e4a13189e
Merge: 54904416a 4e480be75
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 1 Jul 2022 19:15:23 +0200
Merge pull request #1415.
Add more validations to barrier options
commit 54904416a38ad38d267f89d7883ce5e9c6f5fa66
Merge: cf8524b6d 92506685b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 1 Jul 2022 19:14:08 +0200
Merge pull request #1419.
allow to store minor unit codes in currency
commit d22d8440c660fed484186ce5e438c17be409a350
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Fri, 1 Jul 2022 23:03:31 +0800
Clearing up an unused include
ql/pricingengines/asian/turnbullwakemanasianengine.cpp | 1 -
1 file changed, 1 deletion(-)
commit 740ad4db92a11f8e7c3e969035a522e6d5f87f9c
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 14:52:09 +0000
Wrapping BOOST_CHECK_SMALL macro to first convert to double
test-suite/array.cpp | 6 ++---
test-suite/catbonds.cpp | 42 +++++++++++++++++-----------------
test-suite/cmsspread.cpp | 30 ++++++++++++------------
test-suite/creditdefaultswap.cpp | 4 ++--
test-suite/fittedbonddiscountcurve.cpp | 2 +-
test-suite/observable.cpp | 8 +++----
test-suite/piecewiseyieldcurve.cpp | 4 ++--
test-suite/svivolatility.cpp | 4 ++--
test-suite/utilities.hpp | 42 +++++++---------------------------
9 files changed, 58 insertions(+), 84 deletions(-)
commit 6a4b0e738f136913fb8035cd23bd8dc569746898
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 13:42:08 +0000
Removing unused local function function ABS
ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp | 5 -----
1 file changed, 5 deletions(-)
commit d782801ad739b185ad6e44d44a8d4e66b83c06ef
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Fri, 1 Jul 2022 18:02:21 +0800
Add spot delta and gamma for turnbull wakeman
.../asian/turnbullwakemanasianengine.cpp | 12 +-
test-suite/asianoptions.cpp | 126 +++++++++++++++++++++
2 files changed, 136 insertions(+), 2 deletions(-)
commit 176d036bad47463ca43ccfb5c8310bf78d2a8587
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 08:19:07 +0000
InterestRate to double convert before subtraction
ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 95ce63890e124786849a5d8313f723a3d23b07e2
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 08:18:30 +0000
Unit test macro adaptation to convert to double before compare
test-suite/utilities.hpp | 47 +++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 47 insertions(+)
commit 78c9f14722160d6bff9dfb32722ce43e651f8740
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 08:17:40 +0000
Refactored macros to inline functions
.../perturbativebarrieroptionengine.cpp | 24 +++++++++++++++++++---
1 file changed, 21 insertions(+), 3 deletions(-)
commit 082ff899c5d0f2939c69082bf7558f012dc0412e
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 08:16:33 +0000
Convert proxy objects to Real before use
ql/math/interpolations/linearinterpolation.hpp | 2 +-
test-suite/fdmlinearop.cpp | 6 +++---
test-suite/nthorderderivativeop.cpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit aece95ff0a845815a65018eabc1a0fa9a0bbf2ca
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 08:15:46 +0000
Real conversions for template function calls
ql/cashflows/cashflows.cpp | 2 +-
ql/experimental/volatility/noarbsabr.cpp | 2 +-
ql/math/integrals/exponentialintegrals.cpp | 2 +-
ql/pricingengines/mcsimulation.hpp | 2 +-
4 files changed, 4 insertions(+), 4 deletions(-)
commit 6b2fe121a46cfd0bd6dae4df7ee329706dfec4d0
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 06:10:37 +0000
Explicit lambda return type specification
ql/experimental/credit/binomiallossmodel.hpp | 2 +-
ql/experimental/credit/homogeneouspooldef.hpp | 2 +-
ql/experimental/credit/inhomogeneouspooldef.hpp | 2 +-
.../credit/randomdefaultlatentmodel.hpp | 2 +-
ql/experimental/math/latentmodel.hpp | 4 +-
ql/experimental/models/hestonslvfdmmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lfmhullwhiteparam.cpp | 2 +-
ql/math/array.hpp | 44 ++++++++--------------
ql/math/autocovariance.hpp | 2 +-
ql/math/generallinearleastsquares.hpp | 2 +-
ql/math/integrals/filonintegral.cpp | 8 ++--
ql/math/matrix.hpp | 17 +++------
ql/math/optimization/costfunction.hpp | 2 +-
ql/math/sampledcurve.hpp | 2 +-
ql/math/statistics/generalstatistics.cpp | 16 ++++++--
ql/math/statistics/riskstatistics.hpp | 15 +++++---
ql/math/transformedgrid.hpp | 2 +-
.../meshers/fdmsimpleprocess1dmesher.cpp | 2 +-
.../utilities/fdminnervaluecalculator.cpp | 2 +-
ql/models/marketmodels/marketmodeldifferences.cpp | 2 +-
ql/models/volatility/garch.cpp | 10 ++---
ql/processes/jointstochasticprocess.cpp | 2 +-
ql/processes/stochasticprocessarray.cpp | 4 +-
ql/termstructures/globalbootstrap.hpp | 2 +-
test-suite/gaussianquadratures.cpp | 20 +++++-----
test-suite/hestonmodel.cpp | 2 +-
test-suite/integrals.cpp | 22 +++++------
test-suite/linearleastsquaresregression.cpp | 8 ++--
test-suite/numericaldifferentiation.cpp | 2 +-
test-suite/swingoption.cpp | 6 +--
30 files changed, 102 insertions(+), 108 deletions(-)
commit 87748b48a42af010a62b204efb55afddc84eabf6
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 1 Jul 2022 06:01:18 +0000
Explicitly typed ternary operator arguments
ql/cashflows/couponpricer.cpp | 14 ++++----
ql/cashflows/floatingratecoupon.hpp | 2 +-
ql/experimental/commodities/energybasisswap.cpp | 2 +-
ql/experimental/commodities/energyvanillaswap.cpp | 2 +-
.../coupons/lognormalcmsspreadpricer.cpp | 2 +-
.../coupons/strippedcapflooredcoupon.cpp | 4 +--
ql/experimental/credit/binomiallossmodel.hpp | 4 +--
ql/experimental/credit/syntheticcdo.cpp | 2 +-
.../exoticoptions/analyticpdfhestonengine.cpp | 2 +-
.../continuousarithmeticasianlevyengine.cpp | 4 +--
.../finitedifferences/fdmhestonfwdop.cpp | 4 +--
ql/experimental/math/latentmodel.hpp | 2 +-
.../mcbasket/mclongstaffschwartzpathengine.hpp | 2 +-
ql/experimental/models/hestonslvfdmmodel.cpp | 2 +-
ql/experimental/models/normalclvmodel.cpp | 2 +-
ql/experimental/processes/hestonslvprocess.cpp | 2 +-
ql/experimental/risk/creditriskplus.cpp | 2 +-
ql/experimental/shortrate/generalizedhullwhite.hpp | 4 +--
ql/experimental/volatility/zabr.cpp | 8 ++---
ql/experimental/volatility/zabrinterpolation.hpp | 8 ++---
ql/instruments/payoffs.cpp | 6 ++--
ql/legacy/libormarketmodels/lmlinexpvolmodel.cpp | 2 +-
ql/math/abcdmathfunction.hpp | 6 ++--
ql/math/distributions/chisquaredistribution.cpp | 2 +-
ql/math/distributions/normaldistribution.hpp | 2 +-
ql/math/integrals/gaussianorthogonalpolynomial.cpp | 2 +-
ql/math/interpolations/sabrinterpolation.hpp | 24 ++++++-------
ql/math/matrixutilities/choleskydecomposition.cpp | 2 +-
ql/math/matrixutilities/svd.cpp | 6 ++--
ql/math/matrixutilities/tqreigendecomposition.cpp | 2 +-
ql/math/optimization/spherecylinder.cpp | 2 +-
.../randomnumbers/stochasticcollocationinvcdf.cpp | 2 +-
ql/math/rounding.cpp | 2 +-
ql/math/solvers1d/brent.hpp | 2 +-
ql/math/solvers1d/ridder.hpp | 2 +-
.../finitedifferences/meshers/fdmcev1dmesher.cpp | 2 +-
.../meshers/fdmhestonvariancemesher.cpp | 2 +-
.../operators/numericaldifferentiation.cpp | 4 +--
.../utilities/fdmaffinemodelswapinnervalue.hpp | 2 +-
.../utilities/fdminnervaluecalculator.cpp | 2 +-
.../models/capletcoterminalmaxhomogeneity.cpp | 2 +-
ql/models/shortrate/onefactormodels/hullwhite.hpp | 4 +--
.../shortrate/onefactormodels/markovfunctional.cpp | 6 ++--
ql/models/shortrate/twofactormodels/g2.cpp | 2 +-
ql/models/volatility/garch.cpp | 4 +--
ql/models/volatility/garch.hpp | 2 +-
ql/pricingengines/blackformula.cpp | 12 +++----
.../swaption/basketgeneratingengine.cpp | 2 +-
.../gaussian1dfloatfloatswaptionengine.cpp | 14 ++++----
.../gaussian1dnonstandardswaptionengine.cpp | 18 +++++-----
.../swaption/gaussian1dswaptionengine.cpp | 4 +--
ql/pricingengines/vanilla/analytichestonengine.cpp | 6 ++--
.../vanilla/analyticptdhestonengine.cpp | 2 +-
.../vanilla/baroneadesiwhaleyengine.cpp | 8 ++---
.../vanilla/exponentialfittinghestonengine.cpp | 2 +-
ql/processes/coxingersollrossprocess.hpp | 2 +-
ql/processes/gjrgarchprocess.cpp | 4 +--
ql/processes/gsrprocesscore.cpp | 42 +++++++++++-----------
ql/processes/hestonprocess.cpp | 16 ++++-----
ql/processes/hullwhiteprocess.cpp | 6 ++--
ql/processes/hybridhestonhullwhiteprocess.cpp | 2 +-
ql/processes/jointstochasticprocess.cpp | 2 +-
ql/termstructures/defaulttermstructure.hpp | 2 +-
ql/termstructures/inflation/inflationtraits.hpp | 8 ++---
ql/termstructures/iterativebootstrap.hpp | 4 +--
.../volatility/equityfx/localvolsurface.cpp | 2 +-
ql/termstructures/volatility/smilesection.cpp | 6 ++--
ql/termstructures/volatility/smilesectionutils.cpp | 8 ++---
.../volatility/swaption/cmsmarketcalibration.hpp | 2 +-
ql/termstructures/yield/bootstraptraits.hpp | 12 +++----
test-suite/crosscurrencyratehelpers.cpp | 4 +--
test-suite/fdmlinearop.cpp | 2 +-
test-suite/riskstats.cpp | 14 ++++----
test-suite/squarerootclvmodel.cpp | 8 ++---
test-suite/zerocouponswap.cpp | 2 +-
75 files changed, 193 insertions(+), 193 deletions(-)
commit cabbc3f0eeafd7941a5566fb6c66a448af88a7e3
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Thu, 30 Jun 2022 15:23:05 +0000
Typedef Real types after including config.hpp
ql/qldefines.hpp | 31 ++++++++++++++++---------------
ql/qldefines.hpp.cfg | 34 ++++++++++++++++++----------------
2 files changed, 34 insertions(+), 31 deletions(-)
commit 92506685b76664620f4a261f32904f42b86679e2
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Wed, 29 Jun 2022 20:02:14 +0200
allow to store minor unit codes in currency
ql/currency.cpp | 11 +++++++----
ql/currency.hpp | 15 +++++++++++++--
2 files changed, 20 insertions(+), 6 deletions(-)
commit cf8524b6d4004cb08fc5468524769e37984d8047
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 26 Jun 2022 04:11:30 +0000
Automated fixes by clang-tidy
ql/experimental/catbonds/catrisk.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 4e480be75608a6d7633f65ac2c10be6e4d1a873f
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 25 Jun 2022 17:09:19 +0900
Add more validations to barrier options
.../barrieroption/analyticdoublebarrierengine.cpp | 2 +-
.../barrieroption/mcdoublebarrierengine.hpp | 2 +-
.../barrieroption/suowangdoublebarrierengine.cpp | 2 +-
.../exoticoptions/analyticcompoundoptionengine.cpp | 2 +-
.../analyticpartialtimebarrieroptionengine.cpp | 2 +-
.../analytictwoassetbarrierengine.cpp | 2 +-
.../analytictwoassetcorrelationengine.cpp | 2 +-
ql/instruments/dividendbarrieroption.cpp | 14 +++-
ql/instruments/dividendbarrieroption.hpp | 5 +-
.../barrier/analyticbarrierengine.cpp | 5 +-
.../barrier/binomialbarrierengine.hpp | 15 ++--
.../barrier/fdblackscholesbarrierengine.cpp | 15 +++-
ql/pricingengines/barrier/mcbarrierengine.hpp | 2 +-
ql/pricingengines/forward/forwardengine.hpp | 2 +-
ql/pricingengines/lookback/mclookbackengine.hpp | 2 +-
test-suite/barrieroption.cpp | 95 +++++++++++++++-------
16 files changed, 116 insertions(+), 53 deletions(-)
commit a468079f53fbc183964d286cb05a0d4388576160
Merge: e17d24723 dceafa882
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Jun 2022 17:44:56 +0200
Merge pull request #1413.
Further changes for consistent Real usage
commit dceafa882040bacebed11b74cf4468fcdf2dba91
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 24 Jun 2022 13:16:57 +0100
Replacing custom rounding function with std::lround
ql/experimental/catbonds/catrisk.cpp | 7 +------
1 file changed, 1 insertion(+), 6 deletions(-)
commit 81176d94cc0ffced02d25af5a52dbd99f1fdfbfc
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 24 Jun 2022 11:23:41 +0100
Further changes for double->Real consistency
ql/experimental/catbonds/catrisk.cpp | 4 ++--
ql/experimental/math/latentmodel.hpp | 8 ++++----
ql/experimental/mcbasket/mcpathbasketengine.hpp | 2 +-
.../processes/extendedblackscholesprocess.cpp | 8 ++++----
ql/experimental/processes/hestonslvprocess.cpp | 4 ++--
ql/math/integrals/gausslobattointegral.cpp | 2 +-
ql/math/matrixutilities/svd.cpp | 4 ++--
ql/processes/blackscholesprocess.cpp | 8 ++++----
ql/processes/gjrgarchprocess.cpp | 16 +++++++--------
ql/processes/hestonprocess.cpp | 24 +++++++++++-----------
test-suite/hestonmodel.cpp | 2 +-
11 files changed, 41 insertions(+), 41 deletions(-)
commit e17d247233c536c1a9326b49c4d4ae63e35323bf
Merge: a6775b286 55a6075e3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Jun 2022 16:01:15 +0200
Merge pull request #1412.
Correct New Year's Day holiday for Australia
commit a6775b286d49e22dfc220f30471885be1c0833b3
Merge: 100082b8e 3052f5fbc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Jun 2022 15:57:53 +0200
Merge pull request #1409.
Remove suppression for clang-analyzer-deadcode.DeadStores
commit 55a6075e3a39e37e8b746a3fbb07ed133a0fde02
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Thu, 23 Jun 2022 12:25:13 +0200
Correct New Year's Day holiday for Australia
ql/time/calendars/australia.cpp | 2 +-
ql/time/calendars/australia.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 100082b8e75a2ec5eb30f29c51137f2aa270a37b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 19 Jun 2022 04:51:46 +0000
Automated fixes by clang-tidy
ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 3052f5fbc9179ea748d54580f0d3c9995f80a165
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Thu, 12 May 2022 21:49:57 +0900
Remove suppression for clang-analyzer-deadcode.DeadStores
.clang-tidy | 1 -
ql/cashflows/lineartsrpricer.cpp | 4 ++++
ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.cpp | 2 +-
ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp | 2 +-
test-suite/inflation.cpp | 1 -
6 files changed, 7 insertions(+), 5 deletions(-)
commit 769d08764b45aa41ca2032e2843030433aba7c6e
Merge: d964c4347 10c4e12ff
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 16 Jun 2022 14:53:23 +0200
Merge pull request #1408.
Replace boost::noncopyable with deleted special member functions
commit 10c4e12ff617e33ec149269e7e9f7192be109c65
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Wed, 15 Jun 2022 21:02:35 +0900
Replace boost::noncopyable with deleted special member functions
.../volatility/capfloor/capfloortermvolcurve.hpp | 13 ++++++++++---
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp | 12 +++++++++---
2 files changed, 19 insertions(+), 6 deletions(-)
commit d964c43472da713d62b086208583e8c976d8ff68
Merge: cfe5038f4 dc3b7b28f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 14 Jun 2022 23:02:21 +0200
Merge pull request #1401.
Refactored Null<T> class to a template function
commit dc3b7b28ffd4f8f7f4e9ccf00e4c27f961ff8a85
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Tue, 14 Jun 2022 17:26:10 +0000
Rework Array: default constructor should not be explicit
ql/math/array.hpp | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit cfe5038f4931f5edc1579453d1c0e85fe779d0ca
Merge: 42dc7d03b 059a5aecd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 14 Jun 2022 09:07:57 +0200
Merge pull request #1403.
Using lambdas instead of function pointers
commit 42dc7d03bec8affbb0cabd9ffa77a18d1b231a87
Merge: 256cc862e ad19ccc11
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 13 Jun 2022 20:19:17 +0200
Merge pull request #1400.
Consistently use Real datatype
commit 059a5aecdb8c1571f9a8f84567dd2be4a059858a
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 10 Jun 2022 12:07:24 +0000
Removing unnecessary typedef and move in constructor
ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp | 6 +-----
1 file changed, 1 insertion(+), 5 deletions(-)
commit ad19ccc1146ff9493228132aebb21b81154e5b8a
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 10 Jun 2022 09:29:41 +0000
Adding Real initialiser to inner_product
ql/math/array.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 14b6604e0973d16656296562194db87e9ac49dca
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 10 Jun 2022 09:21:00 +0000
Using lambdas instead of function pointers
ql/experimental/models/hestonslvfdmmodel.cpp | 2 +-
ql/math/array.hpp | 12 ++++++------
ql/math/integrals/filonintegral.cpp | 8 ++++----
ql/math/sampledcurve.hpp | 4 ++--
ql/math/transformedgrid.hpp | 2 +-
.../finitedifferences/utilities/fdminnervaluecalculator.cpp | 3 +--
test-suite/gaussianquadratures.cpp | 4 ++--
test-suite/integrals.cpp | 4 ++--
test-suite/numericaldifferentiation.cpp | 2 +-
test-suite/swingoption.cpp | 2 +-
10 files changed, 21 insertions(+), 22 deletions(-)
commit a8077c258a6696dcf1083760202776a6f0cf8f6c
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 10 Jun 2022 08:48:46 +0000
Removing constexpr from null template (GCC 4.8 breaks)
ql/utilities/null.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 6c913fc96778097c0f11b5e0eae84890ff85b4fa
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Fri, 10 Jun 2022 04:56:53 +0000
removing the function declaration of Null since it's not necessary
ql/utilities/null.hpp | 9 +++------
1 file changed, 3 insertions(+), 6 deletions(-)
commit 11caed290c9da5195417049bc1abcde1dab4ac7d
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Thu, 9 Jun 2022 12:54:20 +0000
braced return statements and constexpr for Null<T>() where applicable
ql/prices.hpp | 2 +-
ql/time/date.hpp | 2 +-
ql/utilities/null.hpp | 4 ++--
3 files changed, 4 insertions(+), 4 deletions(-)
commit cadd8671de3701049aab93c3d104cb758f15dbc5
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Thu, 9 Jun 2022 12:01:59 +0000
avoid adding/subtracting interest rates, call rate() method instead
.../barrieroption/perturbativebarrieroptionengine.cpp | 4 ++--
ql/experimental/barrieroption/vannavolgabarrierengine.cpp | 2 +-
ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp | 4 ++--
ql/experimental/processes/extendedblackscholesprocess.cpp | 4 ++--
ql/experimental/processes/hestonslvprocess.cpp | 4 ++--
ql/interestrate.hpp | 9 ---------
ql/pricingengines/asian/analytic_cont_geom_av_price.cpp | 4 ++--
ql/pricingengines/vanilla/analyticdividendeuropeanengine.cpp | 4 ++--
ql/processes/blackscholesprocess.cpp | 4 ++--
ql/processes/gjrgarchprocess.cpp | 4 ++--
ql/processes/hestonprocess.cpp | 4 ++--
ql/termstructures/yield/drifttermstructure.hpp | 4 ++--
ql/termstructures/yield/quantotermstructure.hpp | 6 +++---
13 files changed, 24 insertions(+), 33 deletions(-)
commit 297d37387889420f7532f7db582bea2da2a47ff1
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Thu, 9 Jun 2022 11:44:04 +0000
changing constants to double constexpr rather than Real
.../exoticoptions/analyticholderextensibleoptionengine.cpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price.cpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price_heston.cpp | 2 +-
ql/termstructures/volatility/equityfx/hestonblackvolsurface.cpp | 2 +-
test-suite/array.cpp | 4 ++--
test-suite/cmsspread.cpp | 4 ++--
test-suite/fdmlinearop.cpp | 4 ++--
test-suite/hestonmodel.cpp | 4 ++--
test-suite/interpolations.cpp | 2 +-
test-suite/matrices.cpp | 6 +++---
test-suite/normalclvmodel.cpp | 2 +-
test-suite/numericaldifferentiation.cpp | 2 +-
test-suite/ode.cpp | 4 ++--
13 files changed, 20 insertions(+), 20 deletions(-)
commit 5c9ec21589fb3e05ee50c50b8d952a90bfbc3c77
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Thu, 9 Jun 2022 11:25:07 +0000
Adding previously-missed double->Real replacements
ql/experimental/credit/defaultprobabilitylatentmodel.hpp | 2 +-
ql/processes/jointstochasticprocess.cpp | 2 +-
test-suite/fdheston.cpp | 4 ++--
test-suite/libormarketmodelprocess.cpp | 2 +-
test-suite/swaptionvolatilitycube.cpp | 2 +-
5 files changed, 6 insertions(+), 6 deletions(-)
commit 0eec4f87353a72eaacd0613d1e3e51c3f2059ae4
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Wed, 8 Jun 2022 15:40:33 +0000
refactored Null<T> class to a template function
ql/math/array.hpp | 8 +++-----
ql/prices.hpp | 7 ++-----
ql/time/date.hpp | 8 +++-----
ql/utilities/null.hpp | 14 +++++---------
4 files changed, 13 insertions(+), 24 deletions(-)
commit 7067ec80f1ad9eaff61b7f8d35d9c2ea9fbde724
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Wed, 8 Jun 2022 15:08:08 +0000
consistently use Real datatype
Examples/BasketLosses/BasketLosses.cpp | 2 +-
Examples/Bonds/Bonds.cpp | 2 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 6 +--
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 4 +-
Examples/LatentModel/LatentModel.cpp | 2 +-
Examples/MarketModels/MarketModels.cpp | 4 +-
Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +-
ql/cashflows/conundrumpricer.cpp | 8 +--
.../asian/analytic_cont_geom_av_price_heston.cpp | 10 ++--
.../asian/analytic_discr_geom_av_price_heston.cpp | 14 ++---
.../discretizeddoublebarrieroption.cpp | 2 +-
ql/experimental/basismodels/tenoroptionletvts.cpp | 2 +-
ql/experimental/basismodels/tenorswaptionvts.cpp | 4 +-
ql/experimental/callablebonds/callablebond.cpp | 56 ++++++++++----------
ql/experimental/credit/basket.cpp | 4 +-
ql/experimental/credit/binomiallossmodel.hpp | 4 +-
ql/experimental/credit/distribution.cpp | 2 +-
ql/experimental/credit/gaussianlhplossmodel.cpp | 4 +-
ql/experimental/credit/gaussianlhplossmodel.hpp | 6 +--
ql/experimental/credit/saddlepointlossmodel.hpp | 2 +-
.../analyticholderextensibleoptionengine.cpp | 2 +-
.../analytichestonforwardeuropeanengine.cpp | 8 +--
ql/experimental/math/convolvedstudentt.cpp | 2 +-
ql/experimental/math/expm.cpp | 2 +-
ql/experimental/math/gaussiancopulapolicy.hpp | 2 +-
.../gaussiannoncentralchisquaredpolynomial.cpp | 2 +-
ql/experimental/math/hybridsimulatedannealing.hpp | 2 +-
.../math/hybridsimulatedannealingfunctors.hpp | 4 +-
ql/experimental/math/tcopulapolicy.cpp | 2 +-
ql/experimental/math/tcopulapolicy.hpp | 2 +-
ql/experimental/models/squarerootclvmodel.cpp | 2 +-
ql/experimental/volatility/zabrsmilesection.hpp | 2 +-
ql/instruments/basketoption.hpp | 2 +-
ql/instruments/bonds/btp.cpp | 2 +-
ql/instruments/bonds/btp.hpp | 2 +-
ql/instruments/floatfloatswap.cpp | 4 +-
ql/instruments/nonstandardswap.cpp | 2 +-
ql/interestrate.hpp | 9 ++++
ql/legacy/libormarketmodels/lfmcovarparam.cpp | 2 +-
ql/legacy/libormarketmodels/lfmhullwhiteparam.cpp | 2 +-
ql/legacy/libormarketmodels/lfmprocess.cpp | 8 +--
ql/math/generallinearleastsquares.hpp | 4 +-
ql/math/interpolations/kernelinterpolation.hpp | 2 +-
ql/math/interpolations/kernelinterpolation2d.hpp | 2 +-
ql/math/matrix.hpp | 4 +-
ql/math/matrixutilities/basisincompleteordered.cpp | 4 +-
ql/math/matrixutilities/gmres.cpp | 4 +-
ql/math/matrixutilities/qrdecomposition.cpp | 4 +-
ql/math/optimization/costfunction.hpp | 2 +-
ql/math/optimization/differentialevolution.cpp | 8 +--
ql/math/sampledcurve.hpp | 2 +-
ql/math/statistics/histogram.cpp | 2 +-
ql/models/marketmodels/accountingengine.cpp | 2 +-
.../driftcomputation/lmmdriftcalculator.cpp | 2 +-
.../driftcomputation/lmmnormaldriftcalculator.cpp | 2 +-
.../evolvers/lognormalcmswapratepc.cpp | 4 +-
.../evolvers/lognormalcotswapratepc.cpp | 4 +-
.../evolvers/lognormalfwdrateballand.cpp | 2 +-
.../evolvers/lognormalfwdrateeuler.cpp | 4 +-
.../evolvers/lognormalfwdrateeulerconstrained.cpp | 4 +-
.../evolvers/lognormalfwdrateiballand.cpp | 4 +-
.../marketmodels/evolvers/lognormalfwdrateipc.cpp | 2 +-
.../marketmodels/evolvers/lognormalfwdratepc.cpp | 4 +-
.../marketmodels/evolvers/normalfwdratepc.cpp | 2 +-
ql/models/marketmodels/evolvers/svddfwdratepc.cpp | 4 +-
.../marketmodels/pathwiseaccountingengine.cpp | 6 +--
.../products/multistep/multistepcoinitialswaps.cpp | 2 +-
.../products/multistep/multistepcoinitialswaps.hpp | 4 +-
.../multistep/multistepperiodcapletswaptions.cpp | 2 +-
.../products/onestep/onestepcoinitialswaps.cpp | 2 +-
.../products/onestep/onestepcoinitialswaps.hpp | 4 +-
.../products/onestep/onestepcoterminalswaps.cpp | 2 +-
.../products/onestep/onestepcoterminalswaps.hpp | 4 +-
.../shortrate/onefactormodels/markovfunctional.cpp | 2 +-
.../asian/mc_discr_arith_av_price_heston.hpp | 4 +-
ql/pricingengines/asian/mc_discr_geom_av_price.cpp | 2 +-
.../asian/mc_discr_geom_av_price_heston.cpp | 2 +-
.../asian/mc_discr_geom_av_price_heston.hpp | 2 +-
.../barrier/discretizedbarrieroption.cpp | 2 +-
ql/pricingengines/bond/discretizedconvertible.cpp | 12 ++---
.../capfloor/gaussian1dcapfloorengine.cpp | 2 +-
ql/pricingengines/swap/discretizedswap.cpp | 8 +--
.../swaption/basketgeneratingengine.hpp | 2 +-
.../vanilla/discretizedvanillaoption.cpp | 2 +-
ql/termstructures/globalbootstrap.hpp | 2 +-
.../equityfx/andreasenhugevolatilityinterpl.cpp | 2 +-
.../volatility/equityfx/hestonblackvolsurface.cpp | 2 +-
.../volatility/kahalesmilesection.cpp | 2 +-
.../volatility/kahalesmilesection.hpp | 8 +--
.../optionlet/strippedoptionletadapter.cpp | 2 +-
ql/termstructures/volatility/smilesectionutils.cpp | 4 +-
.../volatility/swaption/cmsmarketcalibration.cpp | 4 +-
.../volatility/swaption/swaptionvolcube1.hpp | 2 +-
.../yield/fittedbonddiscountcurve.cpp | 2 +-
test-suite/americanoption.cpp | 10 ++--
test-suite/andreasenhugevolatilityinterpl.cpp | 8 +--
test-suite/array.cpp | 4 +-
test-suite/asianoptions.cpp | 20 ++++----
test-suite/basismodels.cpp | 10 ++--
test-suite/blackformula.cpp | 22 ++++----
test-suite/bonds.cpp | 14 ++---
test-suite/callablebonds.cpp | 10 ++--
test-suite/capfloor.cpp | 32 ++++++------
test-suite/cliquetoption.cpp | 20 ++++----
test-suite/cmsspread.cpp | 6 +--
test-suite/creditdefaultswap.cpp | 4 +-
test-suite/daycounters.cpp | 2 +-
test-suite/digitalcoupon.cpp | 16 +++---
test-suite/digitaloption.cpp | 10 ++--
test-suite/distributions.cpp | 6 +--
test-suite/dividendoption.cpp | 60 +++++++++++-----------
test-suite/europeanoption.cpp | 34 ++++++------
test-suite/extendedtrees.cpp | 10 ++--
test-suite/fdcev.cpp | 4 +-
test-suite/fdmlinearop.cpp | 8 +--
test-suite/fdsabr.cpp | 8 +--
test-suite/forwardoption.cpp | 10 ++--
test-suite/forwardrateagreement.cpp | 2 +-
test-suite/gaussianquadratures.cpp | 2 +-
test-suite/hestonmodel.cpp | 20 ++++----
test-suite/hestonslvmodel.cpp | 14 ++---
test-suite/hybridhestonhullwhiteprocess.cpp | 24 ++++-----
test-suite/inflationcapfloor.cpp | 10 ++--
test-suite/inflationcapflooredcoupon.cpp | 4 +-
test-suite/inflationvolatility.cpp | 4 +-
test-suite/interpolations.cpp | 6 +--
test-suite/jumpdiffusion.cpp | 18 +++----
test-suite/margrabeoption.cpp | 4 +-
test-suite/marketmodel.cpp | 2 +-
test-suite/markovfunctional.cpp | 4 +-
test-suite/matrices.cpp | 14 ++---
test-suite/normalclvmodel.cpp | 2 +-
test-suite/nthorderderivativeop.cpp | 2 +-
test-suite/nthtodefault.cpp | 4 +-
test-suite/numericaldifferentiation.cpp | 2 +-
test-suite/ode.cpp | 5 +-
test-suite/optimizers.cpp | 6 +--
test-suite/overnightindexedswap.cpp | 6 +--
test-suite/quantooption.cpp | 32 ++++++------
test-suite/riskneutraldensitycalculator.cpp | 18 +++----
test-suite/rngtraits.cpp | 6 +--
test-suite/shortratemodels.cpp | 2 +-
test-suite/solvers.cpp | 4 +-
test-suite/squarerootclvmodel.cpp | 6 +--
test-suite/swap.cpp | 12 ++---
test-suite/swaption.cpp | 18 +++----
test-suite/vpp.cpp | 2 +-
147 files changed, 486 insertions(+), 476 deletions(-)
commit 256cc862e97e5c6c8a02430dfcae87f401bb10ce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 7 Jun 2022 10:13:47 +0200
Clean up make targets for docs; fix out-of-source build
Docs/Makefile.am | 23 +++++++----------------
Docs/README.txt | 37 -------------------------------------
Docs/quantlib.doxy | 22 ++++++++++++----------
Makefile.am | 10 ++--------
QuantLib.spec.in | 2 +-
5 files changed, 22 insertions(+), 72 deletions(-)
commit 1ca280e7903770f05266dc0ecae431feac70d087
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 26 Apr 2022 09:57:44 +0200
Add macOS 12 to CI builds
.github/workflows/macos-nondefault.yml | 6 ++++++
.github/workflows/macos.yml | 2 ++
2 files changed, 8 insertions(+)
commit 922e582a0d59f20d5a4480448546942c64490fda
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 29 May 2022 04:49:44 +0000
Automated fixes by clang-tidy
test-suite/observable.cpp | 19 +++++++++----------
1 file changed, 9 insertions(+), 10 deletions(-)
commit e04457fb546c180b5f300b22ca6bd8b23af61bc1
Merge: 99c4a7651 1155453f6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 29 May 2022 00:59:11 +0200
Merge pull request #1382.
Avoid iterator invalidation while notifying observers
commit 1155453f6122dc87a5325fe5b18e37d1f32606ca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 28 May 2022 23:07:57 +0200
Remove executable bit from sources
test-suite/observable.cpp | 2 +-
test-suite/paralleltestrunner.hpp | 0
2 files changed, 1 insertion(+), 1 deletion(-)
commit a6d8e897c3b7c38b06c5ccb346f32871485bc171
Author: klausspanderen <klaus@spanderen.de>
Date: Sat, 28 May 2022 03:38:46 +0200
fixed circular reference
test-suite/observable.cpp | 9 ++++-----
1 file changed, 4 insertions(+), 5 deletions(-)
commit 4c2885bac4ee0a587f10abec8af2f2c6d0de55f3
Author: klausspanderen <klaus@spanderen.de>
Date: Fri, 27 May 2022 20:49:47 +0200
enable all tests
test-suite/piecewiseyieldcurve.cpp | 92 +++++++++++++++++++-------------------
1 file changed, 46 insertions(+), 46 deletions(-)
commit 628743c6ca1ccf77cc118c67a692938d70852870
Author: klausspanderen <klaus@spanderen.de>
Date: Fri, 27 May 2022 20:48:33 +0200
removed useless evaluation date settinh
test-suite/piecewiseyieldcurve.cpp | 95 ++++++++++++++++++--------------------
1 file changed, 46 insertions(+), 49 deletions(-)
commit 61c2cf35e424fa42348f13b6e3ff599bcc75ce78
Author: klausspanderen <klaus@spanderen.de>
Date: Fri, 27 May 2022 20:46:06 +0200
change std::unordered_set to std::set in Observable and added test case
ql/patterns/observable.hpp | 3 +-
test-suite/observable.cpp | 84 ++++++++++++++++++++++++++++++++++++++++++++++
test-suite/observable.hpp | 1 +
3 files changed, 87 insertions(+), 1 deletion(-)
commit 99c4a7651f959ee3879a2fcf8bd14b23a41e30fb
Merge: 7dd9cfc49 080ea4ffa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 24 May 2022 12:39:52 +0200
Merge pull request #1395.
docs(various): Fix typos
commit 7dd9cfc49e9753a88aa389abd9bde76cce93ecdc
Merge: 69cbda18c 14e1a59d6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 24 May 2022 09:12:33 +0200
Merge pull request #1390.
Replace gcc and clang diagnostics with system headers
commit 14e1a59d64f467402f19cbb0ebd2ab7fc3ac6461
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 23 May 2022 23:45:30 +0200
Add configure test for --system-header-prefix flag
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
acinclude.m4 | 19 +++++++++++++++++++
configure.ac | 3 +++
4 files changed, 24 insertions(+), 2 deletions(-)
commit 080ea4ffa7d316db8deea970136218be28cb6672
Author: r <ryanrussell@users.noreply.github.com>
Date: Mon, 23 May 2022 16:35:52 -0500
docs(pages): Docs Typos Fixed
Docs/pages/fixedincome.docs | 4 ++--
Docs/pages/history.docs | 4 ++--
Docs/pages/math.docs | 2 +-
News.md | 2 +-
4 files changed, 6 insertions(+), 6 deletions(-)
commit 92616a6efba8f2a1cd293b10cde8a318a52607dd
Author: r <ryanrussell@users.noreply.github.com>
Date: Mon, 23 May 2022 16:31:31 -0500
docs(various): Fix typos
Examples/BasketLosses/BasketLosses.cpp | 2 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 14 +++++++-------
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 2 +-
Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +-
4 files changed, 10 insertions(+), 10 deletions(-)
commit 69cbda18c836ef4aec0e1a73943602b616fbd7d5
Merge: bea4a47a1 b140310a1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 20 May 2022 18:47:43 +0200
Merge pull request #1387.
Remove suppression for cppcoreguidelines-slicing
commit b140310a1244fea2b701622039efd43d50d2f53e
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Fri, 13 May 2022 22:16:01 +0900
Remove suppression for cppcoreguidelines-slicing
.clang-tidy | 1 -
.../volatility/noarbsabrinterpolation.hpp | 26 ++++----
ql/experimental/volatility/sviinterpolation.hpp | 28 ++++----
ql/experimental/volatility/zabrinterpolation.hpp | 28 ++++----
ql/math/interpolations/abcdinterpolation.hpp | 24 +++----
ql/math/interpolations/cubicinterpolation.hpp | 16 ++---
ql/math/interpolations/sabrinterpolation.hpp | 26 ++++----
test-suite/piecewiseyieldcurve.cpp | 75 ----------------------
test-suite/piecewiseyieldcurve.hpp | 4 --
9 files changed, 74 insertions(+), 154 deletions(-)
commit a3a64f5c5791438b5335003cb9f6bc0fb33d2619
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 14 May 2022 15:08:42 +0900